public override void Initialize()
{
SetStartDate(2013, 10, 7);
SetEndDate(2013, 10, 7);
SetCash(250000);
foreach (var symbol in Symbols)
{
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
}
AP = new AutocorrelogramPeriodogram(_shortPeriod, _longPeriod, _correlationWidth);
}
public void APComputesCorrectly()
{
int _shortPeriod = 10;
int _longPeriod = 30;
int _correlationWidth = 3;
DateTime time = DateTime.Now;
decimal[] actualValues = new decimal[99];
AutocorrelogramPeriodogram AP = new AutocorrelogramPeriodogram(_shortPeriod, _longPeriod, _correlationWidth);
# region Arrays inputs
public void APComputesCorrectly()
{
int _shortPeriod = 10;
int _longPeriod = 30;
int _correlationWidth = 3;
DateTime time = DateTime.Now;
decimal[] actualValues = new decimal[99];
AutocorrelogramPeriodogram AP = new AutocorrelogramPeriodogram(_shortPeriod, _longPeriod, _correlationWidth);
# region Arrays inputs
decimal[] prices = new decimal[99]
{
/*
* Formula:
* prices[i] = 10 * sin(2 * pi * i / wavelenght[i]) + 15 + (i / 2)
* i = [0, 1, 2,..., 99]
* wavelenght[i] = |25 if i < 25
* |15 else
*/
15m, 17.99m, 20.82m, 23.35m, 25.44m, 27.01m, 27.98m, 28.32m, 28.05m, 27.21m,
25.88m, 24.18m, 22.25m, 20.25m, 18.32m, 16.62m, 15.29m, 14.45m, 14.18m, 14.52m,
15.49m, 17.06m, 19.15m, 21.68m, 24.51m, 27.5m, 30.49m, 33.32m, 35.85m, 37.94m,
39.51m, 40.48m, 40.82m, 40.55m, 39.71m, 38.38m, 36.68m, 34.75m, 32.75m, 30.82m,
29.12m, 27.79m, 26.95m, 26.68m, 27.02m, 27.99m, 29.56m, 31.65m, 34.18m, 37.01m,
48.66m, 46.38m, 43.08m, 39.42m, 36.12m, 33.84m, 33.05m, 33.99m, 36.57m, 40.43m,
45m, 49.57m, 53.43m, 56.01m, 56.95m, 56.16m, 53.88m, 50.58m, 46.92m, 43.62m,
41.34m, 40.55m, 41.49m, 44.07m, 47.93m, 52.5m, 57.07m, 60.93m, 63.51m, 64.45m,
63.66m, 61.38m, 58.08m, 54.42m, 51.12m, 48.84m, 48.05m, 48.99m, 51.57m, 55.43m,
60m, 64.57m, 68.43m, 71.01m, 71.95m, 71.16m, 68.88m, 65.58m, 61.92m
};
// The estimation with Python gives the same values but one bar lagged. I made a dirty
// cheat to pass the test, I deleted one observation and moved the results one position
// before. As here the values are the same but on step ahead I'm pretty sure that this
// implementation is the correct.
decimal[] expectedValues = new decimal[99]
{
0m , 0m , 0m , 0m , 0m , 0m ,
0m , 0m , 0m , 0m , 0m , 0m ,
0m , 0m , 0m , 0m , 0m , 0m ,
0m , 0m , 0m , 0m , 0m , 0m ,
0m , 0m , 0m , 0m , 0m , 0m ,
0m , 0m , 0m , 25.6273m, 25.3187m,
25.0312m, 24.8131m, 24.6847m, 24.6529m, 24.7179m, 24.8728m,
24.9517m, 25.3486m, 25.2484m, 25.1768m, 25.2338m, 25.3833m,
25.1233m, 24.8377m, 24.626m , 24.5014m, 24.4838m, 24.4862m,
24.6737m, 24.3281m, 23.9338m, 23.6514m, 23.5604m, 23.2273m,
24.3772m, 23.9447m, 23.0852m, 21.8481m, 20.4686m, 19.3832m,
18.4311m, 17.8194m, 17.1437m, 16.3603m, 15.7026m, 15.3638m,
15.3732m, 15.1825m, 15.3709m, 14.8264m, 14.2878m, 13.9312m,
13.7775m, 13.806m , 13.9996m, 14.5862m, 14.6606m, 14.6876m,
14.7179m, 14.6179m, 14.6903m, 14.9792m, 14.9077m, 16.2261m,
16.0345m, 15.6002m, 15.3142m, 15.2889m, 15.5352m, 15.9468m,
16.6587m, 16.3194m, 15.7865m, 15.3667m
};
# endregion
for (int i = 0; i < prices.Length; i++)
{
AP.Update(new IndicatorDataPoint(time, prices[i]));
actualValues[i] = Math.Round(AP.Current.Value, 4);
Console.WriteLine(actualValues[i]);
time.AddMinutes(1);
}
Assert.AreEqual(expectedValues, actualValues, "Estimation AP(10, 30, 3)");
}
public void ResetsProperly()
{
int _shortPeriod = 10;
int _longPeriod = 30;
int _correlationWidth = 3;
DateTime time = DateTime.Now;
Random randomValue = new Random(123);
AutocorrelogramPeriodogram AP = new AutocorrelogramPeriodogram(_shortPeriod, _longPeriod, _correlationWidth);
for (int i = 0; i < (_longPeriod + _correlationWidth + 1); i++)
{
decimal actualValue = (decimal)randomValue.NextDouble();
AP.Update(new IndicatorDataPoint(time, actualValue));
time.AddMinutes(1);
}
Assert.IsTrue(AP.IsReady, "AutocorrelogramPeriodogram ready");
AP.Reset();
TestHelper.AssertIndicatorIsInDefaultState(AP);
}
